Robustness in Econometrics

✍ Scribed by Vladik Kreinovich, Songsak Sriboonchitta, Van-Nam Huynh (eds.)

• Publisher: Springer
• Year: 2017
• Tongue: English
• Leaves: 693
• Series: Studies in computational intelligence 692
• Edition: 1st ed.
• Category: Library

✦ Synopsis

This book presents recent research on robustness in econometrics. Robust data processing techniques – i.e., techniques that yield results minimally affected by outliers – and their applications to real-life economic and financial situations are the main focus of this book. The book also discusses applications of more traditional statistical techniques to econometric problems.

Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. In day-by-day data, we often encounter outliers that do not reflect the long-term economic trends, e.g., unexpected and abrupt fluctuations. As such, it is important to develop robust data processing techniques that can accommodate these fluctuations.

✦ Table of Contents

Front Matter....Pages i-x
Front Matter....Pages 1-1
Robust Estimation of Heckman Model....Pages 3-21
Front Matter....Pages 23-23
Sequential Monte Carlo Sampling for State Space Models....Pages 25-50
Robustness as a Criterion for Selecting a Probability Distribution Under Uncertainty....Pages 51-68
Why Cannot We Have a Strongly Consistent Family of Skew Normal (and Higher Order) Distributions....Pages 69-77
Econometric Models of Probabilistic Choice: Beyond McFadden’s Formulas....Pages 79-87
How to Explain Ubiquity of Constant Elasticity of Substitution (CES) Production and Utility Functions Without Explicitly Postulating CES....Pages 89-98
How to Make Plausibility-Based Forecasting More Accurate....Pages 99-110
Structural Breaks of CAPM-type Market Model with Heteroskedasticity and Quantile Regression....Pages 111-134
Weighted Least Squares and Adaptive Least Squares: Further Empirical Evidence....Pages 135-167
Prior-Free Probabilistic Inference for Econometricians....Pages 169-186
Robustness in Forecasting Future Liabilities in Insurance....Pages 187-200
On Conditioning in Multidimensional Probabilistic Models....Pages 201-216
New Estimation Method for Mixture of Normal Distributions....Pages 217-233
EM Estimation for Multivariate Skew Slash Distribution....Pages 235-248
Constructions of Multivariate Copulas....Pages 249-265
Plausibility Regions on the Skewness Parameter of Skew Normal Distributions Based on Inferential Models....Pages 267-286
International Yield Curve Prediction with Common Functional Principal Component Analysis....Pages 287-304
An Alternative to p-Values in Hypothesis Testing with Applications in Model Selection of Stock Price Data....Pages 305-319
Confidence Intervals for the Common Mean of Several Normal Populations....Pages 321-331
A Generalized Information Theoretical Approach to Non-linear Time Series Model....Pages 333-348
Front Matter....Pages 23-23
Predictive Recursion Maximum Likelihood of Threshold Autoregressive Model....Pages 349-362
A Multivariate Generalized FGM Copulas and Its Application to Multiple Regression....Pages 363-378
Front Matter....Pages 379-379
Key Economic Sectors and Their Transitions: Analysis of World Input-Output Network....Pages 381-399
Natural Resources, Financial Development and Sectoral Value Added in a Resource Based Economy....Pages 401-417
Can Bagging Improve the Forecasting Performance of Tourism Demand Models?....Pages 419-433
The Role of Asian Credit Default Swap Index in Portfolio Risk Management....Pages 435-447
Chinese Outbound Tourism Demand to Singapore, Malaysia and Thailand Destinations: A Study of Political Events and Holiday Impacts....Pages 449-469
Forecasting Asian Credit Default Swap Spreads: A Comparison of Multi-regime Models....Pages 471-489
Effect of Helmet Use on Severity of Head Injuries Using Doubly Robust Estimators....Pages 491-500
Forecasting Cash Holding with Cash Deposit Using Time Series Approaches....Pages 501-510
Forecasting GDP Growth in Thailand with Different Leading Indicators Using MIDAS Regression Models....Pages 511-521
Testing the Validity of Economic Growth Theories Using Copula-Based Seemingly Unrelated Quantile Kink Regression....Pages 523-541
Analysis of Global Competitiveness Using Copula-Based Stochastic Frontier Kink Model....Pages 543-559
Gravity Model of Trade with Linear Quantile Mixed Models Approach....Pages 561-574
Stochastic Frontier Model in Financial Econometrics: A Copula-Based Approach....Pages 575-586
Quantile Forecasting of PM10 Data in Korea Based on Time Series Models....Pages 587-598
Do We Have Robust GARCH Models Under Different Mean Equations: Evidence from Exchange Rates of Thailand?....Pages 599-613
Joint Determinants of Foreign Direct Investment (FDI) Inflow in Cambodia: A Panel Co-integration Approach....Pages 615-635
The Visitors’ Attitudes and Perceived Value Toward Rural Regeneration Community Development of Taiwan....Pages 637-647
Analyzing the Contribution of ASEAN Stock Markets to Systemic Risk....Pages 649-666
Front Matter....Pages 379-379
Estimating Efficiency of Stock Return with Interval Data....Pages 667-678
The Impact of Extreme Events on Portfolio in Financial Risk Management....Pages 679-690
Foreign Direct Investment, Exports and Economic Growth in ASEAN Region: Empirical Analysis from Panel Data....Pages 691-705

✦ Subjects

Econometrics